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Ufimskii Matematicheskii Zhurnal, 2009, Volume 1, Issue 1, Pages 69–76
(Mi ufa5)
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Extended Tanaka Formula
F. S. Nasyrov Ufa State Aviation Technical University
Abstract:
Generalized Tanaka formula is proved for left-continuous predictable functions and for Wiener process.
Keywords:
Wiener process, symmetric integral, extended symmetric integral, stochastic Stratonovich integral, stochastic Ito integral, Tanaka formula.
Received: 14.03.2009
Citation:
F. S. Nasyrov, “Extended Tanaka Formula”, Ufimsk. Mat. Zh., 1:1 (2009), 69–76
Linking options:
https://www.mathnet.ru/eng/ufa5 https://www.mathnet.ru/eng/ufa/v1/i1/p69
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Abstract page: | 1981 | Full-text PDF : | 1691 | References: | 1577 | First page: | 2 |
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